oo*I is the directional infinity along the positive imaginary axis. If
you want, you can think of oo as the limit of the sequence {1, 2, 3,
...} and oo*I is the limit of the sequence {1*I, 2*I, 3*I, ...}. SymPy
also has zoo, or complex infinity (the north pole in the Riemann
sphere). This intuitively represents infinity in every complex
direction.
oo, and expressions containing it, are strictly speaking only
formalisms. Operations on oo aren't always well-defined, and if you
try hard enough, you can manipulate expressions containing it to
obtain nonsense or even wrong results (instead of putting oo in an
expression and computing with it, you should use limit()).
Aaron Meurer
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